We report evidence of seasonality in the Fama and MacBeth estimate of the CAPM-based risk premium in four stock exchanges: the NYSE and the London, Paris, and Brussels exchanges. Specifically, we found ... [more ▼]

We report evidence of seasonality in the Fama and MacBeth estimate of the CAPM-based risk premium in four stock exchanges: the NYSE and the London, Paris, and Brussels exchanges. Specifically, we found that, in Belgium and France, risk premia are positive in January and negative the rest of the year. There is no January seasonal in the U.K. risk premium. Instead, we observed in this country a positive April seasonal and a negative average risk premium over the rest of the year. In the U.S., the pattern of risk-premium seasonality coincides with the pattern of stock-return seasonality. Both are positive and significant only in January. We also found that the January risk premium in the U.S. is significantly larger than those observed in the European markets. Interestingly, the reported patterns of risk-premium seasonality in European equity markets do not fully coincide with the observed patterns of stock-return seasonality in these markets. For example, in the U.K., average stock returns arc significant and positive in January and April, whereas the market risk premium is significantly positive only in April. A possible interpretation of this phenomenon is presented in the paper. [less ▲]

Based on a comprehensive sample of 170 securities traded continuously on the Brussels Stock Exchange from December 1966 to December 1983 this paper presents evidence which indicates that the stationarity ... [more ▼]

Based on a comprehensive sample of 170 securities traded continuously on the Brussels Stock Exchange from December 1966 to December 1983 this paper presents evidence which indicates that the stationarity of beta-coefficients is not as strong as reported in previous studies which were based on smaller samples. It is shown, however, that beta forecast can be generally improved using an adjustment method and that the improvement is highest for portfolios of increasing size. [less ▲]